It's the same reason that Williams/Mohammed is likely to make a new record for time between arrest and execution. And Malvo will come close to that record if his claim to being a juvenile falls apart.
No tin hat explanation is required. It's just that prosecutors who should be most concerned about making sure the entire group of conspirators have been caught instead are most concerned to show that the case is closed and the criminals punished. However, this is war, and in war, you don't give prisoners miranda rights and then execute them; instead you extract, without torture, all the information you can from them and then hold them indefinitely.
Neither Malvo nor Williams/Mohammed should be treated as it they were Americans. Malvo is certainly not American. Williams/Mohammed was American, but then became a national of Antigua through fraud. It is a big mistake to recognize dual citizenship; instead we should accept Williams/Mohammed's desire to be a citizen of another country and treat him accordingly.
(Because Williams/Mohammed got his Antigua passport and other Antigua papers through fraud, Antigua properly is not considering him their citizen. I feel he should be treated as a stateless person. This in itself is no crime, but certainly does not entire one to bill of rights protections. At a minimum, if we are going to treat these fellows as criminals, we should offer them life imprisonment in return for naming names.)